IDEAS home Printed from https://ideas.repec.org/a/ids/ijcome/v2y2011i1p47-62.html
   My bibliography  Save this article

Three different measures of sample skewness and kurtosis and their effects on the Jarque–Bera test for normality

Author

Listed:
  • Panagiotis Mantalos

Abstract

Monte Carlo methods are used to study the size and the power of three versions of the Jarque and Bera Lagrangian multiplier test for normality, JB(g1, g2), JB(b1, b2) and, finally, JB(k1, k2). The difference between these tests comes from the different definitions (estimates) of sample skewness and kurtosis. The Jarque and Bera test has rather poor small sample properties: the slow convergence of the test statistic to its limiting distribution makes the test oversized for small nominal level and undersized for larger than 3% levels even in a reasonably large sample. However, the JB(k1, k2) for a 5% nominal level shows good properties for all samples. The power of the tests shows the same erratic form.

Suggested Citation

  • Panagiotis Mantalos, 2011. "Three different measures of sample skewness and kurtosis and their effects on the Jarque–Bera test for normality," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 2(1), pages 47-62.
    • Handle: RePEc:ids:ijcome:v:2:y:2011:i:1:p:47-62
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=40576
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. More On the Limitations of the Jarque-Bera Test
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2014-04-22 03:43:00

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Shaw, Charles, 2018. "Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads," MPRA Paper 94154, University Library of Munich, Germany, revised 27 May 2019.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijcome:v:2:y:2011:i:1:p:47-62. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=311 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.